It's a savagely cold December afternoon in Manhattan, and the wind could freeze the tears in your eyes. I'm with the actor Chloë Sevigny, driving at a crawl to a photoshoot where she will model outfits from her first clothing line, which she has designed for downtown boutique Opening Ceremony. The line is a charmingly sincere ragbag of patterns and influences, inspired by the "clothes collages" Sevigny would throw together as a bored adolescent in the commuter suburb of Darien, Connecticut. Nothing ever happened in Darien. Sevigny has claimed she would yell every night at her parents, "I can't believe you're bringing me up here! You guys are, like, evil!" Entire afternoons were whiled away watching her older brother, Paul, and his pals skateboarding in the backyard. Mostly, she sewed. "I had nothing better to do, so I made my own clothes."

Moonlighting at Opening Ceremony has brought her full circle. "I just came up with stuff I'd want to wear," she trills in a tra-la-la voice. "A little quirky and funky. Pretty classic, but with a twist. I was thinking about Neneh Cherry, the New Wave bands I was into in junior high, the boys I knew who liked the early hip-hop scene. It's a mishmash of alternative things that suburban kids were into. When you're young, you're mixing things up. You're a sponge. The Opening Ceremony stuff is like me going back to my youth. My last hurrah."

Although it's her first stint as a designer, Sevigny was previously responsible for the thrift-store look of the 1997 film Gummo, her then-boyfriend Harmony Korine's spaced-out ode to white-trash America. She made swimsuits and pink felt bunny ears which she ran up on her sewing machine. She also appeared in the film. You couldn't miss her: she was the one with albino-blond hair and eyebrows, and electrical tape on her nipples. Other actors could have played the part, but none could have looked so spookily blithe or blase.

Sevigny has been acting for 13 years, but it's still impossible to take her face for granted. There is no one in US cinema who looks like her, no one with the same mash-up of feline beauty and loutish toughness. "She's one of those cases where you turn on the camera and she changes instantly," says Kimberly Peirce, who directed her in Boys Don't Cry. "My director of photography looked at me in astonishment because the second the camera started rolling, she became this other creature, this thing the camera loves. With some actors you have to keep them active or they don't sustain your interest. But Chloë doesn't have to do anything and she will still command your attention."

Although the 33-year-old Sevigny is tall and slender in tight, dark jeans, black boots and baggy leather jacket, she walks with a slight galumphing awkwardness, planting her feet purposefully as she goes. Her face is long and elegantly pointed, offset by a formidable jaw on which you could crack open a bottle of beer. Her droopy-lidded eyes can lend her a docile vagueness, which came in handy during an early run of movies set in the white-trash hinterland (Gummo, Boys Don't Cry, Julien Donkey-Boy), in which she played characters for whom a move to the arse end of nowhere would have represented unimaginable social promotion.

As we inch through the gridlock, she becomes antsy, eventually suggesting to the driver that we may be heading the wrong way. He phones his boss, who confirms this to be the case. "Why did they give me wrong directions?" he wonders. Sevigny slumps back in her seat and glares out of the window. "So that we get there late," she replies, seething quietly, "and then they can make me work all night." Well, it's a theory.

Earlier that day, over lunch, she is frank about her disdain for the lucrative modelling gigs - Miu Miu, Dolce & Gabbana, H&M - that not only pay her bills but could also settle those of most of her East Village neighbours. "The shoots can go on, like, for ever," she complains, sinking a fork into her salmon terrine. She used to worry that modelling diminished her as an actor in people's eyes, "but the lines are blurred now. Look at Charlize Theron - she's done so many ads." I ask if there isn't a side to modelling that makes her uncomfortable. "Oh, like the selling out, you mean?" She gives a wheezy, high-pitched laugh that sounds like a tent being unzipped at high speed. "Yeah, that's not so much fun. But fashion is a good way for me to make a living. I couldn't survive just doing independent movies. And I'd rather do modelling than movies or TV I didn't like."

That's one of the most striking elements of Sevigny's acting CV: nothing on it looks mercenary, from her debut 13 years ago in the ostentatiously controversial Kids to her current success in the HBO series Big Love, in which she plays Nicolette, the most devious of a Salt Lake City Mormon's three wives. She will typically choose a project, she says, because she admires the director, which has resulted in quite a roll call: Lars von Trier, Woody Allen, David Fincher, Jim Jarmusch, Olivier Assayas, Whit Stillman. "Chloë's ahead of the curve because she's aware of the curve," actor/director Vincent Gallo said in 2004. "Most actors wouldn't know an interesting film-maker if they fell on them, but Chloë creates opportunities to work with people she likes." Gallo is right, but then perhaps he would say that: they've known each other since he made her a pink polyester suit when she was 17; later, she put him on her wishlist of directors and was rewarded with a pivotal part in his unfairly-maligned road movie The Brown Bunny, which required her to administer unsimulated oral attention to Gallo's own pivotal part.

"I look at her career as incredibly enviable," says Christine Vachon, who has produced four of Sevigny's films, including Kids and Boys Don't Cry. "She's made some spectacular choices, and stuck to her guns all the way." In fact, Sevigny claims to have picked only one acting job solely for the money: when she needed to pay her mother's mortgage, she took a part in If These Walls Could Talk 2, a TV film in which she played a butch lesbian and looked like Macaulay Culkin. Even that had its upside. "I totally made it mine," she smiles proudly. "It was me and Michelle Williams, and I got to kiss her - mmm-mmm, she's a cute little thing." She sniggers naughtily.

Right now, she should be slipping back into a prairie skirt to shoot the third season of Big Love, but the Hollywood writers' strike has put paid to that. It's not all bad news. "Playing Nicolette 10 hours a day for six days is not the most positive place to be," she groans. "I keep asking them, 'Can't you give me a vulnerable scene to play? I'm sick of being the bitch.' I need a little, you know, colour." Her voice wanders up and down the register, hitting unexpectedly shrill or gravelly notes.

She is in good spirits, but there's a restlessness just below the surface. She seems unduly bothered by a waitress's orange shirt. "What is this, Guantánamo Bay?" she splutters. Another server asks if we need anything. "Wow, she has a funny voice," she says when the woman is out of earshot. Even a compliment proves equivocal. "They're very helpful here." Pause. "A little overhelpful."

Big Love may be on the back burner for now, but Sevigny has enough extracurricular activities to stop her hanging out in restaurants all day and criticising the staff. She's been travelling around Latin America with her boyfriend, Matt McAuley, who plays bass in the band A.R.E. Weapons. They've been together for seven years, on and off. Right now they're becoming seriously domesticated. He bought her a combination blender/food processor, she gave him an electric toothbrush so he'll think of her whenever he cleans his teeth on tour. "Although they say you should never give someone you love a present they have to plug in," she frets.

All this time off is giving Sevigny a chance to think about where her career is going. She has been complaining for years that she wants to shake off the "indie girl" tag that is becoming her ball and chain, but she keeps sending audition tapes out to LA and getting nothing back. "Partly, it's a girl problem," says Christine Vachon. "There still aren't enough female roles. But it may also be that people associate Chloë with an edgier, more original type of film."

To be fair to Hollywood, Sevigny may be sending out mixed messages. While she gripes about being turned down for parts in Mona Lisa Smile and Mr & Mrs Smith, and says she came very close recently to "a couple of big things that didn't work out", she is also known as the woman who declined a $500,000 supporting role in Legally Blonde. When he heard this, her brother, a DJ and bar-owner who lives a few streets away, didn't speak to her for three weeks.

When she talks about her desire for high-profile roles, Sevigny takes on an indignant edge. "There's this index that tallies up how much your movies have made, and if they haven't grossed a certain amount, then you're not bankable. I know I'm not Will Smith but, you know, my ranking's pretty low. The only studio picture I've done is Zodiac, and that didn't perform that well." I start to congratulate her on Zodiac all the same: it was just the "girlfriend" part on paper, but she brought it expertly to life. Unfortunately, she interrupts me after the first half of that sentence: "I know, I know, it was just the girlfriend," she blathers apologetically, "but I'd never taken that kind of part before, so..."

It's disarming how readily she will sell herself short. Her allure hinges on the easy-going confidence she clearly has in spades and which makes those around her feel more relaxed simply for being in her vicinity. You can tell she enjoys herself: she laughs readily, and has a nice line in humorous mannerisms - lowering her face, then looking up with raised eyebrows to express disapproval, or opening her eyes and mouth extravagantly wide to register outrage. But there's an undercurrent of insecurity that manifests itself in anecdotes that often end with her being ignored or humiliated, such as a story about a Morrissey fansite that lays into her whenever she is seen at one of the singer's shows. "They always make fun of me," she says sadly. "They hate me, they're really nasty." Last Halloween, she dressed as Joan of Arc from the Smiths song Bigmouth Strikes Again, complete with Walkman. "Except that the Sony ones are really hard to find, so I had a Panasonic. And on the website, they said, 'Oh, a Panasonic isn't really a Walkman.' They're such nit-pickers." She went to see Morrissey play in Miami recently, and saw the website's manager by the hotel pool. "I tried to engage him in civilised conversation - you know, love your enemies - but I don't think he was interested." She collapses in embarrassed laughter.

Although Sevigny has figured in every Best Dressed or Most Stylish list published in the past decade, she maintains that people make fun of what she wears. "They think, 'Oh, she's the one with the funky fashion.'" (That's "funky" in the pejorative sense, she points out, "odd" rather than "groovy".) When I ask what impression she thinks Hollywood has of her, she replies immediately: "I think they think I'm a good actress. I don't want to sound self-pitying, but maybe it's a looks thing, like they don't think I'm pretty enough. I always feel I could be like Toni Collette, going between big studio things and indie films. That would be feasible."

Until now, things have been perfect. She has respect, integrity, an outstanding body of work to her name and an Oscar nomination (for Boys Don't Cry). In the early 90s, she couldn't walk a few blocks in Manhattan without causing a stir. The novelist Jay McInerney heralded her as a "downtown trendsetter" and wrote Chloë's Scene, a florid seven-page article in the New Yorker. He interviewed her friends, followed her to clubs, proclaimed her the new It-Girl (which she hated). She agreed to it on the promise of a rubberised Helmut Lang dress that never materialised. At the same time, her film career was taking off. She had left Darien for New York, where she became part of the Washington Square Park skate-punk crowd out of which Kids was born. Sevigny and her friends, including Korine, had attracted the attention of the photographer Larry Clark. When Clark was preparing to shoot Kids - Korine's script about drug-dazed, HIV-infected teenage ne'er-do-wells - she landed a minor role, but found herself promoted when the lead balked at the prospect of nudity.

"Larry called me," Vachon remembers, "and said, 'You know what? It should've been Chloë all along. She's perfect and I don't know why I didn't see it.' When I took a closer look, I saw he was right. She was pretty fucking amazing. She had a tremendous energy, and her style and look and presence were very original. You felt you hadn't seen it before." Sevigny played Jennie, whose roster of traumas includes becoming infected with HIV after having sex for the first time, and being raped while catatonic. (She shrugged off that scene, the movie's grim climax, at the time: "I just let my body go limp. The actor did all the work.") Her on-screen achievements were clear: Sevigny provided the warm, reflective centre in this feral film. But behind the scenes she was doing her bit, too, encouraging Korine to work harder at writing interesting female characters.

"Kids was an exciting time," she says. "I wasn't thinking about Hollywood. I didn't care about the long haul, the big picture. It was so freeing." The roles came slowly after that, but they were all peaches. One of the juiciest was the gauche wannabe who gets the clap in Whit Stillman's crisp comedy The Last Days Of Disco. "Chloë is a natural phenomenon," Stillman has said. "You're not directing, she's not performing - it's just real."

It was a performance that convinced Kimberly Peirce to cast her in Boys Don't Cry, the true story of Teena Brandon, a Nebraska lass who renamed herself Brandon Teena and romanced the karaoke-singing factory worker Lana Tisdel, before being exposed, raped and murdered. Sevigny wanted the lead. Peirce couldn't see her as a man, and Sevigny stubbornly refused to audition. But Pierce boned up on her back catalogue, just to be sure. "There's a moment in The Last Days Of Disco when Chloë does this little dance move and flirts with the camera," she says. "She has this mix of attractiveness, flirtation and sophistication that she gives you, but then takes away very quickly so that you want more: you want to reach into the screen and grab her. When I saw that, and her confidence and wit, I thought: if she could flirt with Brandon and the audience in that way, that's exactly what we need for Lana. I said to her, 'Will you please audition to play Lana?' She said, 'No.' And I said, 'OK, you can have the role.'"

As Brandon, Hilary Swank had the limelight (and got the Oscar), but the film would fall apart without Sevigny's Lana, who drifts through the dismal bars, parking lots and clapboard houses of small-town Nebraska like an extraterrestrial who's given up waiting for the mother ship to come back to claim her. No other director has displayed such sensitivity toward her physical oddness - Peirce lets her vast face and slow-motion eyes swamp the screen, not least in a celebrated sex scene that focuses entirely on Lana's face as Brandon brings her to orgasm.

"Film-makers don't always show female pleasure," Peirce says, "and they rarely celebrate it. But Brandon lived for Lana's pleasure, so it was important to me that the audience felt that. If you're going to show an orgasm, you should make it orgasmic. Hilary and Chloë had asked me to treat the sex scenes like fighting or dancing scenes. They said, 'Tell us exactly what to do, we don't want to improvise.' Then I asked Chloë, 'Shall we talk through the orgasm, too?' and she said, 'No, Kim, I think I know what you want.'" In fact, Sevigny's depiction of pleasure was so unfettered that it left the US censor threatening a prohibitive rating.

"I need another part like that," Sevigny says as we finally pull up outside the studio. "Something where I can shine." And it was a boost to be nominated for the Best Supporting Actress Oscar, even though she said at the time, "I don't even feel like it would be a good thing if I got it - it feels too early."

"My brother cried when I didn't win," she says now. "Isn't that sweet?"

Did she cry? "Yeah," she admits with a shrug and a smile. "It was such a build-up, and it was a really tough year." She was up against Toni Collette (The Sixth Sense), Catherine Keener (Being John Malkovich), Samantha Morton (Sweet And Lowdown) and Angelina Jolie, who won for Girl, Interrupted. "Pretty stiff competish... although I still don't think that Angelina's was a supporting part."

Maybe we could launch an inquiry, I suggest. It could be the focus of the feature. "Noooo!" she shrieks, taking me at my word quite endearingly.

Sevigny has done fine work since Boys Don't Cry, in Lars von Trier's Dogville and Woody Allen's Melinda And Melinda, but it's outrageous that she hasn't been offered another meaty part. Typically, she adds more to a film than it adds to her - think of American Psycho, Party Monster and Shattered Glass, where her presence alone brought weight to some slim roles. It may be a problem that she and Korine drifted apart, though she looks aghast when I ask if she needs another Harmony. I point out that I mean artistically, rather than romantically: someone who knows her range and writes her bespoke parts. She likes the sound of that - "Like Hanna Schygulla and Fassbinder," she says dreamily. Sevigny and Korine split up before the latter cleaned up his act. Now she will say only that, "We're not in touch." A clean break? "More like a big messy one."

In the loft where the shoot is happening, sunlight is spilling across the wooden floors. Pulp are playing on the stereo, and I wonder if another reminder of Sevigny's past is the last thing she needs following our exchange about Korine - she dated Jarvis Cocker in the late 90s. But as assistants fuss around her, applying creams and unguents to her face and limbs, and her friend and hair stylist, Ashley, tends to her locks, I realise she is oblivious to anything but the low hum of gossip. Will Daniel Craig get a nude scene in the next Bond? What's going on with Tom Cruise and David Beckham? ("I saw the Beckhams once," Sevigny says. "They were at J Sheekey [the London restaurant] in matching outfits." Cue much hissing and bitching from all present.)

I ask Ashley if he is on permanent emergency call, just in case she should fall asleep on the sofa and wake up with tortilla chips in her hair, drool down her chin. "Chloë's one of those people who doesn't need any of us," he purrs. "She's just good enough to bring us into the loop now and then." He might be on to something there. Earlier, when Sevigny was bemoaning Hollywood's lack of interest in her, I asked if it might be wise to spend a month in LA attending auditions, lobbying for parts. "One thinks one would," she giggled, self-deprecatingly. "No, you're right, I have to put in more effort. But whenever I make those plans, they just... fall apart."

Maybe she doesn't want it badly enough. Or perhaps she realises, like the rest of us, that Hollywood needs her, not the other way around. It just doesn't know it yet.